Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/45176

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DC Field

Value

Language

dc.contributor.author

Memmel, Christoph

en_US

dc.contributor.author

Sachs, Angelika

en_US

dc.contributor.author

Stein, Ingrid

en_US

dc.date.accessioned

2011-04-19

en_US

dc.date.accessioned

2011-04-26T10:59:36Z

-

dc.date.available

2011-04-26T10:59:36Z

-

dc.date.issued

2011

en_US

dc.identifier.isbn

978-3-86558-703-9

en_US

dc.identifier.uri

http://hdl.handle.net/10419/45176

-

dc.description.abstract

This paper investigates contagion at the German interbank market under the assumption of a stochastic loss given default (LGD). We combine a unique data set about the LGD of interbank loans with data about interbank exposures. We find that the frequency distribution of the LGD is u-shaped. Under the assumption of a stochastic LGD, simulation results show a more fragile banking system than under the assumption of a constant LGD. There are three types of banks concerning their tendency to trigger contagion: banks with strongly varying impact, banks whose impact is relatively constant, and banks with no direct impact.